Solving asymmetric variational inequalities via convex optimization

Authors:
Michele Aghassi;Dimitris Bertsimas;Georgia Perakis
Affiliations:
Operations Research Center, Massachusetts Institute of Technology, E40-131, Cambridge, MA 02139, USA;Sloan School of Management and Operations Research Center, Massachusetts Institute of Technology, E53-363, Cambridge, MA 02139, USA;Sloan School of Management and Operations Research Center, Massachusetts Institute of Technology, E53-363, Cambridge, MA 02139, USA
Venue:
Operations Research Letters
Year:
2006

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Abstract

Using duality, we reformulate the asymmetric variational inequality (VI) problem over a conic region as an optimization problem. We give sufficient conditions for the convexity of this reformulation. We thereby identify a class of VIs that includes monotone affine VIs over polyhedra, which may be solved by commercial optimization solvers.